Threshold stability plots for extended generalized Pareto models

Usage

tstab.egp(
  xdat,
  thresh,
  model = c("pt-beta", "pt-gamma", "pt-power", "gj-tnorm", "gj-beta", "exptilt",
    "logist"),
  param = c("shape", "kappa"),
  type = c("wald", "profile"),
  transform = FALSE,
  level = 0.95,
  plot = TRUE,
  ...
)

Arguments

xdat: vector of observations, greater than the threshold
thresh: threshold value
model: a string indicating which extended family to fit
param: [string] parameter, either shape or additional parameter kappa
type: [string] confidence interval type, either wald or profile.
transform: logical; if TRUE and type="wald", intervals for kappa are computed on the log-scale and back-transformed.
level: [double] confidence interval level, default to 0.95.
plot: [logical] if TRUE (default), return a threshold stability plot
...: additional arguments for the plot function, currently ignored.

Examples

xdat <- rgp(n = 1000)
tstab.egp(
 xdat = xdat,
 thresh = c(0, quantile(xdat, 0.5)),
 model = "gj-tnorm",
 param = "kappa",
 transform = TRUE)